V-Lab
S&P GSCI Cocoa Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 7th, 2026
1 Day
65.96%
decreased by 1.10%
1 Week
65.85%
decreased by 1.21%
1 Month
65.40%
decreased by 1.66%
Analysis last updated: Thursday, August 6, 2026 at 11:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 31, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 294 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.06 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.6659 | 5.60*** |
α ARCH Response to squared shocks | 0.0302 | 46.78*** |
β GARCH Volatility persistence | 0.9976 | 2,794.53*** |
ν DF Student-t tail thickness | 7.0646 | 7.42*** |
Persistence:
0.998
Half-life:
294 days
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